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Decisions in Economics and Finance

1978 - 2020

Current editor(s): Paolo Ghirardato

From:
Springer
Associazione per la Matematica
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2020, volume 43, issue 1

A special issue on the mathematics of subjective probability pp. 1-2 Downloads
Gianluca Cassese, Pietro Rigo and Barbara Vantaggi
A notion of conditional probability and some of its consequences pp. 3-15 Downloads
Patrizia Berti, Emanuela Dreassi and Pietro Rigo
Predictive distributions that mimic frequencies over a restricted subdomain pp. 17-41 Downloads
Frank Lad and Giuseppe Sanfilippo
Optimal markov strategies pp. 43-54 Downloads
William D. Sudderth
Semilattices, canonical embeddings and representing measures pp. 55-74 Downloads
Gianluca Cassese
A note on rational inattention and rate distortion theory pp. 75-89 Downloads
Tommaso Denti, Massimo Marinacci and Luigi Montrucchio
Decisions on production and quality pp. 91-107 Downloads
Luca Grosset and Bruno Viscolani
A dynamic private property resource game with asymmetric firms pp. 109-127 Downloads
Luca Grilli and Michele Bisceglia
On the construction of optimal payoffs pp. 129-153 Downloads
L. Rüschendorf and Steven Vanduffel
A general equilibrium evolutionary model with two groups of agents, generating fashion cycle dynamics pp. 155-185 Downloads
Ahmad Naimzada and Marina Pireddu
Market attention and Bitcoin price modeling: theory, estimation and option pricing pp. 187-228 Downloads
Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca
Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan? pp. 229-249 Downloads
Katarzyna Romaniuk
Changes in multiplicative risks and optimal portfolio choice: new interpretations and results pp. 251-267 Downloads
Marzia Donno, Marco Magnani and Mario Menegatti
A note on Stein’s overreaction puzzle pp. 269-276 Downloads
Yuehao Lin and Thorsten Lehnert
Trading strategy with stochastic volatility in a limit order book market pp. 277-301 Downloads
Qing-Qing Yang, Wai-Ki Ching, Jiawen Gu and Tak-Kuen Siu
Pricing and hedging defaultable participating contracts with regime switching and jump risk pp. 303-339 Downloads
Olivier Le Courtois, François Quittard-Pinon and Xiaoshan Su
Optimal reinsurance and investment in a diffusion model pp. 341-361 Downloads
Matteo Brachetta and Hanspeter Schmidli
Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models pp. 363-372 Downloads
Marco M. Sorge
When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market pp. 373-408 Downloads
Hanchao Liu

2019, volume 42, issue 2

Quantitative developments in financial volatility—theory and practice pp. 319-320 Downloads
Elisa Alòs, Maria Elvira Mancino and Tai-Ho Wang
Volatility and volatility-linked derivatives: estimation, modeling, and pricing pp. 321-349 Downloads
Elisa Alòs, Maria Elvira Mancino and Tai-Ho Wang
Estimation of volatility in a high-frequency setting: a short review pp. 351-385 Downloads
Jean Jacod
From volatility smiles to the volatility of volatility pp. 387-406 Downloads
Bernard Dumas and Elisa Luciano
Markovian lifts of positive semidefinite affine Volterra-type processes pp. 407-448 Downloads
Christa Cuchiero and Josef Teichmann
Estimating stochastic volatility: the rough side to equity returns pp. 449-469 Downloads
Jonathan Haynes, Daniel Schmitt and Lukas Grimm
Asymptotic results for the Fourier estimator of the integrated quarticity pp. 471-502 Downloads
Giulia Livieri, Maria Elvira Mancino and Stefano Marmi
On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method pp. 503-525 Downloads
F. Cacace, A. Germani and M. Papi
Asymptotic expansion for some local volatility models arising in finance pp. 527-573 Downloads
Sergio Albeverio, Francesco Cordoni, Luca Persio and Gregorio Pellegrini
Moment explosions in the rough Heston model pp. 575-608 Downloads
Stefan Gerhold, Christoph Gerstenecker and Arpad Pinter
Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods pp. 609-637 Downloads
Julien Hok and Shih-Hau Tan
A realized volatility approach to option pricing with continuous and jump variance components pp. 639-664 Downloads
Dario Alitab, Giacomo Bormetti, Fulvio Corsi and Adam A. Majewski
Robust calibration and arbitrage-free interpolation of SSVI slices pp. 665-677 Downloads
Jacopo Corbetta, Pierre Cohort, Ismail Laachir and Claude Martini
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I pp. 679-714 Downloads
Fabien Floc’h and Cornelis Oosterlee
Semi-analytical prices for lookback and barrier options under the Heston model pp. 715-741 Downloads
Luca De Gennaro Aquino and Carole Bernard
A note on the implied volatility of floating strike Asian options pp. 743-758 Downloads
Elisa Alòs and Jorge A. León

2019, volume 42, issue 1

Foreword special issue Deaf 2019–Maf 2018 pp. 1-2 Downloads
Aurea Grane and Marilena Sibillo
Correction to: Foreword special issue Deaf 2019–Maf 2018 pp. 3-3 Downloads
Aurea Grane and Marilena Sibillo
Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment pp. 5-19 Downloads
Giuseppina Albano, Michele La Rocca and Cira Perna
Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis pp. 21-49 Downloads
Anna Rita Bacinello and Ivan Zoccolan
Possibilistic mean–variance portfolios versus probabilistic ones: the winner is pp. 51-75 Downloads
Marco Corazza and Carla Nardelli
Kyle equilibrium under random price pressure pp. 77-101 Downloads
José Manuel Corcuera, Giulia Nunno and José Fajardo
A stochastic model to evaluate pricing distortions in indemnity insurance methods for MTPL insurance pp. 103-133 Downloads
Paola Fersini, Salvatore Forte, Giuseppe Melisi and Gennaro Olivieri
Does market attention affect Bitcoin returns and volatility? pp. 135-155 Downloads
Gianna Figá-Talamanca and Marco Patacca
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II pp. 157-187 Downloads
Anna Maria Gambaro, Riccardo Casalini, Gianluca Fusai and Alessandro Ghilarducci
Coherent modeling of mortality patterns for age-specific subgroups pp. 189-204 Downloads
Giuseppe Giordano, Steven Haberman and Maria Russolillo
Lévy CARMA models for shocks in mortality pp. 205-227 Downloads
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Behavioral premium principles pp. 229-257 Downloads
Martina Nardon and Paolo Pianca
A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy pp. 259-276 Downloads
José L. Vilar-Zanón and Olivia Peraita-Ezcurra
On the extension of binary relations in economic and game theories pp. 277-285 Downloads
Athanasios Andrikopoulos
Time-consistency of risk measures: how strong is such a property? pp. 287-317 Downloads
Elisa Mastrogiacomo and Emanuela Rosazza Gianin
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